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From: Marco M. <mi...@us...> - 2008-04-08 21:33:28
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv32418/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers Added Files: PVOChooserFromSavedBackTestLog.cs Log Message: Added IInSampleChooser for the PVO strategy --- NEW FILE: PVOChooserFromSavedBackTestLog.cs --- /* QuantProject - Quantitative Finance Library PVOChooserFromSavedBackTestLog.cs Copyright (C) 2008 Marco Milletti This program is free software; you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation; either version 2 of the License, or (at your option) any later version. This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. You should have received a copy of the GNU General Public License along with this program; if not, write to the Free Software Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. */ using System; using QuantProject.Business.Strategies; using QuantProject.Business.Strategies.Logging; using QuantProject.Business.Strategies.InSample; using QuantProject.Business.Strategies.OutOfSample; using QuantProject.Business.Timing; namespace QuantProject.Scripts.TechnicalAnalysisTesting.Oscillators.FixedLevelOscillators.PortfolioValueOscillator.InSampleChoosers { /// <summary> /// IInSampleChooser for returning PVOPositions /// already saved in a BackTestLog saved to disk /// </summary> public class PVOChooserFromSavedBackTestLog : BasicChooserFromSavedBackTestLog { public override string Description { get { string description = "ChooserFromSavedBackTestLog_PVO"; return description; } } public PVOChooserFromSavedBackTestLog( string backTestLogFullPath) : base(backTestLogFullPath) { } protected override TestingPositions[] getTestingPositionsFromBackTestLog(EndOfDayDateTime lastInSampleDateOfOptimizedTestingPositions) { TestingPositions[] testingPositions = new TestingPositions[((PVOLogItem)this.backTestLog[0]).BestPVOPositionsInSample.Length]; for( int i = 0; i<this.backTestLog.Count ; i++ ) { if( this.backTestLog[i].SimulatedCreationTime.DateTime == lastInSampleDateOfOptimizedTestingPositions.DateTime ) { testingPositions = ((PVOLogItem)this.backTestLog[i]).BestPVOPositionsInSample; i = this.backTestLog.Count; } } return testingPositions; } } } |
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From: Marco M. <mi...@us...> - 2008-04-08 21:31:36
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv31246 Added Files: BasicChooserFromSavedBackTestLog.cs Log Message: Added IInSampleChooser based on a BackTestLog already saved to disk. It is useful for avoiding optimizing process when you just need to change out of sample parameters. --- NEW FILE: BasicChooserFromSavedBackTestLog.cs --- /* QuantProject - Quantitative Finance Library BasicChooserFromSavedBackTestLog.cs Copyright (C) 2008 Marco Milletti This program is free software; you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation; either version 2 of the License, or (at your option) any later version. This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. You should have received a copy of the GNU General Public License along with this program; if not, write to the Free Software Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. */ using System; using System.Collections; using QuantProject.ADT; using QuantProject.ADT.FileManaging; using QuantProject.ADT.Messaging; using QuantProject.Business.DataProviders; using QuantProject.Business.Strategies; using QuantProject.Business.Strategies.Logging; using QuantProject.Business.Strategies.Eligibles; using QuantProject.Business.Strategies.ReturnsManagement; using QuantProject.Business.Timing; using QuantProject.Business.Strategies.OutOfSample; namespace QuantProject.Business.Strategies.InSample { /// <summary> /// Abstract basic IInSampleChooser for returning /// log items already saved in a BackTestLog saved to disk /// </summary> public abstract class BasicChooserFromSavedBackTestLog : IInSampleChooser { public event NewProgressEventHandler NewProgress; public event NewMessageEventHandler NewMessage; protected string backTestLogFullPath; protected BackTestLog backTestLog; public virtual string Description { get { string description = "ChooserFromSavedBackTestLog"; return description; } } /// <summary> /// Abstract BasicChooserFromSavedBackTestLog to be used for /// retrieving TestingPositions from a BackTestLog /// already saved to disk /// </summary> public BasicChooserFromSavedBackTestLog( string backTestLogFullPath) { this.backTestLogFullPath = backTestLogFullPath; } protected abstract TestingPositions[] getTestingPositionsFromBackTestLog( EndOfDayDateTime lastInSampleDateOfOptimizedTestingPositions ); protected void analyzeInSample_setBackTestLog() { if( this.backTestLog == null ) { object savedObject = ObjectArchiver.Extract( this.backTestLogFullPath); if( savedObject is BackTestLog ) this.backTestLog = (BackTestLog)savedObject; else // savedObject is not a BackTestLog throw new Exception("The loaded object is not " + " a BackTestLog!"); } } /// <summary> /// Returns the best TestingPositions /// stored in the BackTestLog /// </summary> /// <param name="eligibleTickers">Also a dummy eligibleTickers (not used)</param> /// <param name="returnsManager">Also a dummy returnsManager (not used)</param> public object AnalyzeInSample( EligibleTickers eligibleTickers , ReturnsManager returnsManager ) { this.analyzeInSample_setBackTestLog(); TestingPositions[] bestTestingPositionsInSample = this.getTestingPositionsFromBackTestLog( returnsManager.ReturnIntervals.LastEndOfDayDateTime ); return bestTestingPositionsInSample; } } } |
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From: Glauco S. <gla...@us...> - 2008-04-07 21:01:50
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv27034/b7_Scripts/WalkForwardTesting/PairsTrading Modified Files: PairsTradingMain.cs Log Message: Changed to use a ByPriceMostLiquidAlwaysQuoted object as IEligiblesSelector Index: PairsTradingMain.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** PairsTradingMain.cs 1 Apr 2008 21:33:07 -0000 1.7 --- PairsTradingMain.cs 7 Apr 2008 21:01:43 -0000 1.8 *************** *** 86,89 **** --- 86,95 ---- tickersGroupId , maxNumberOfEligiblesToBeChosen ); + this.eligiblesSelector = + new ByPriceMostLiquidAlwaysQuoted( + tickersGroupId , + true , + maxNumberOfEligiblesToBeChosen , + 10 , 0 , 99999 ); } *************** *** 129,133 **** int inSampleDays = 180; // uncomment the following line for a faster script ! // inSampleDays = 5; inSampleDays = 60; IIntervalsSelector intervalsSelector = --- 135,139 ---- int inSampleDays = 180; // uncomment the following line for a faster script ! // inSampleDays = 5; // inSampleDays = 60; IIntervalsSelector intervalsSelector = *************** *** 150,154 **** DateTime firstDateTime = new DateTime( 2001 , 1 , 4 ); DateTime lastDateTime = new DateTime( 2004 , 12 , 31 ); ! double maxRunningHours = 9; this.endOfDayStrategyBackTester = --- 156,160 ---- DateTime firstDateTime = new DateTime( 2001 , 1 , 4 ); DateTime lastDateTime = new DateTime( 2004 , 12 , 31 ); ! double maxRunningHours = 7.5; this.endOfDayStrategyBackTester = |
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From: Glauco S. <gla...@us...> - 2008-04-07 20:46:49
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Update of /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6162/b2_DataAccess/Tables Modified Files: Tickers_tickerGroups.cs Log Message: The Sql statement has been assigned to a local variable, to allow an easier debugging Index: Tickers_tickerGroups.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables/Tickers_tickerGroups.cs,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** Tickers_tickerGroups.cs 7 Sep 2005 06:45:17 -0000 1.7 --- Tickers_tickerGroups.cs 7 Apr 2008 20:46:43 -0000 1.8 *************** *** 130,137 **** public static DataTable GetTickers( string groupID) { /// TO DO use a join in order to return a table with tiTicker and company name ! return SqlExecutor.GetDataTable("SELECT DISTINCT " + Tickers_tickerGroups.Ticker + " FROM tickers_tickerGroups " + "WHERE " + Tickers_tickerGroups.GroupID + "='" + ! groupID + "'"); } --- 130,140 ---- public static DataTable GetTickers( string groupID) { + /// TO DO use a join in order to return a table with tiTicker and company name ! string sql = ! "SELECT DISTINCT " + Tickers_tickerGroups.Ticker + " FROM tickers_tickerGroups " + "WHERE " + Tickers_tickerGroups.GroupID + "='" + ! groupID + "'"; ! return SqlExecutor.GetDataTable( sql ); } |
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From: Glauco S. <gla...@us...> - 2008-04-07 20:46:12
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Update of /cvsroot/quantproject/QuantProject/b1_ADT In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv5669/b1_ADT Modified Files: ExtendedDataTable.cs Log Message: - minor code reformatting: different indentation (who knows where it comes from...) Index: ExtendedDataTable.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ExtendedDataTable.cs,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** ExtendedDataTable.cs 14 Jan 2008 23:10:00 -0000 1.11 --- ExtendedDataTable.cs 7 Apr 2008 20:45:28 -0000 1.12 *************** *** 58,64 **** if(sortByASC) sortDirection = " ASC"; ! ! DataRow[] orderedRows = tableToCopyAndSort.Select(filterExpression, sortingFieldName + sortDirection); ! for(int i = 0;i<orderedRows.Length;i++) { copyOfTableToCopyAndSort.ImportRow(orderedRows[i]); --- 58,64 ---- if(sortByASC) sortDirection = " ASC"; ! ! DataRow[] orderedRows = tableToCopyAndSort.Select(filterExpression, sortingFieldName + sortDirection); ! for(int i = 0;i<orderedRows.Length;i++) { copyOfTableToCopyAndSort.ImportRow(orderedRows[i]); |
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From: Glauco S. <gla...@us...> - 2008-04-07 20:43:38
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv3667/b4_Business/a2_Strategies/Eligibles Modified Files: MostLiquidAndLessVolatile.cs Log Message: - bug fixed, most liquid are returned now (in the previous version, the least liquid were returned) - some code has been added: it allows to write a DataTable to a .xml file (it can be helpful for debugging) Index: MostLiquidAndLessVolatile.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/MostLiquidAndLessVolatile.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** MostLiquidAndLessVolatile.cs 7 Feb 2008 18:46:56 -0000 1.3 --- MostLiquidAndLessVolatile.cs 7 Apr 2008 20:43:31 -0000 1.4 *************** *** 122,131 **** // DataTable groupTickers = selectorByGroup.GetTableOfSelectedTickers(); SelectorByLiquidity mostLiquid = ! new SelectorByLiquidity( this.tickersGroupID , true , endOfDayHistory.FirstEndOfDayDateTime.DateTime , ! endOfDayHistory.LastEndOfDayDateTime.DateTime , 0 , this.maxNumberOfEligibleTickersToBeChosen ); DataTable groupTickers = mostLiquid.GetTableOfSelectedTickers(); // SelectorByLiquidity mostLiquid = --- 122,135 ---- // DataTable groupTickers = selectorByGroup.GetTableOfSelectedTickers(); SelectorByLiquidity mostLiquid = ! new SelectorByLiquidity( this.tickersGroupID , false , endOfDayHistory.FirstEndOfDayDateTime.DateTime , ! endOfDayHistory.LastEndOfDayDateTime.DateTime , this.maxNumberOfEligibleTickersToBeChosen ); DataTable groupTickers = mostLiquid.GetTableOfSelectedTickers(); + DataSet dataSet = new DataSet(); + dataSet.Tables.Add( groupTickers ); + dataSet.WriteXml( "c:\\qpReports\\pairsTrading\\eligiblesCon_MostLiquidAndLessVolatile.xml" ); + // SelectorByLiquidity mostLiquid = |
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From: Glauco S. <gla...@us...> - 2008-04-07 20:42:22
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2231/b4_Business/a2_Strategies/Eligibles Modified Files: ByPriceMostLiquidAlwaysQuoted.cs Log Message: - the code has been slightly refactored to make debugging easier (some intermediate assignment have been added) - some commented code has been added: it allows to write a DataTable to a .xml file (it can be helpful for debugging) Index: ByPriceMostLiquidAlwaysQuoted.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/ByPriceMostLiquidAlwaysQuoted.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** ByPriceMostLiquidAlwaysQuoted.cs 5 Apr 2008 22:57:16 -0000 1.3 --- ByPriceMostLiquidAlwaysQuoted.cs 7 Apr 2008 20:42:13 -0000 1.4 *************** *** 86,89 **** --- 86,90 ---- { DateTime currentDate = endOfDayHistory.LastEndOfDayDateTime.DateTime; + SelectorByGroup group; if(this.temporizedGroup) *************** *** 95,116 **** group = new SelectorByGroup(this.tickersGroupID); DataTable tickersFromGroup = group.GetTableOfSelectedTickers(); int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count; SelectorByAverageRawOpenPrice byPrice = ! new SelectorByAverageRawOpenPrice(tickersFromGroup,false, ! currentDate.AddDays(-this.numOfDaysForAverageOpenRawPriceComputation), ! currentDate, ! numOfTickersInGroupAtCurrentDate, ! this.minPrice,this.maxPrice, double.MinValue,double.MaxValue); ! SelectorByLiquidity mostLiquidSelector = ! new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(), false, endOfDayHistory.FirstEndOfDayDateTime.DateTime, currentDate, this.maxNumberOfEligibleTickersToBeChosen); SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = ! new SelectorByQuotationAtEachMarketDay(mostLiquidSelector.GetTableOfSelectedTickers(), false, endOfDayHistory.History, this.maxNumberOfEligibleTickersToBeChosen); return ! new EligibleTickers( quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers() ); } --- 96,130 ---- group = new SelectorByGroup(this.tickersGroupID); DataTable tickersFromGroup = group.GetTableOfSelectedTickers(); + int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count; SelectorByAverageRawOpenPrice byPrice = ! new SelectorByAverageRawOpenPrice(tickersFromGroup,false, ! currentDate.AddDays(-this.numOfDaysForAverageOpenRawPriceComputation), ! currentDate, ! numOfTickersInGroupAtCurrentDate, ! this.minPrice,this.maxPrice, double.MinValue,double.MaxValue); ! DataTable dataTableByPrice = ! byPrice.GetTableOfSelectedTickers(); ! ! SelectorByLiquidity mostLiquidSelector = ! new SelectorByLiquidity( dataTableByPrice , false, endOfDayHistory.FirstEndOfDayDateTime.DateTime, currentDate, this.maxNumberOfEligibleTickersToBeChosen); + DataTable dataTableMostLiquid = + mostLiquidSelector.GetTableOfSelectedTickers(); + + // DataSet dataSet = new DataSet(); + // dataSet.Tables.Add( dataTableMostLiquid ); + // dataSet.WriteXml( "c:\\qpReports\\pairsTrading\\eligiblesCon_ByPriceMostLiquidAlwaysQuoted.xml" ); + SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = ! new SelectorByQuotationAtEachMarketDay( dataTableMostLiquid , false, endOfDayHistory.History, this.maxNumberOfEligibleTickersToBeChosen); + DataTable dataTableToBeReturned = + quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers(); return ! new EligibleTickers( dataTableToBeReturned ); } |
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From: Marco M. <mi...@us...> - 2008-04-05 22:57:24
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv7521/a2_Strategies/Eligibles Modified Files: ByPriceMostLiquidAlwaysQuoted.cs Log Message: Fixed bug: now the parameters for the standard deviation of the average raw opening price of the given last days have been properly set. Index: ByPriceMostLiquidAlwaysQuoted.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/ByPriceMostLiquidAlwaysQuoted.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** ByPriceMostLiquidAlwaysQuoted.cs 7 Feb 2008 18:36:11 -0000 1.2 --- ByPriceMostLiquidAlwaysQuoted.cs 5 Apr 2008 22:57:16 -0000 1.3 *************** *** 57,62 **** { get{ ! return "Elgbls_prcRng" + this.minPrice + "_" + this.maxPrice + ! "_mstLqd_alwsQtd"; } } --- 57,67 ---- { get{ ! return "From_" + this.tickersGroupID + " (temporized: " + ! this.temporizedGroup.ToString() + ")\n" + ! "MaxNumOfEligibles_" + this.maxNumberOfEligibleTickersToBeChosen.ToString() + "\n" + ! "AverageRawOpenPriceRange(computed for the last " + ! this.numOfDaysForAverageOpenRawPriceComputation.ToString() + "):\n" + ! "From_" + this.minPrice + "_to_" + this.maxPrice + "\n" + ! "Most Liquid and Always Quoted at each market day (^GSPC) for the in sample time frame"; } } *************** *** 96,100 **** currentDate, numOfTickersInGroupAtCurrentDate, ! this.minPrice,this.maxPrice, 0.0001,100); SelectorByLiquidity mostLiquidSelector = new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(), --- 101,105 ---- currentDate, numOfTickersInGroupAtCurrentDate, ! this.minPrice,this.maxPrice, double.MinValue,double.MaxValue); SelectorByLiquidity mostLiquidSelector = new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(), |
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From: Glauco S. <gla...@us...> - 2008-04-01 21:34:56
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16734/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers Modified Files: PVOCorrelationChooser.cs Log Message: QuantProject.Business.Strategies.IInSampleChooser has been moved to QuantProject.Business.Strategies.InSample.IInSampleChooser Index: PVOCorrelationChooser.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/InSampleChoosers/PVOCorrelationChooser.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** PVOCorrelationChooser.cs 12 Mar 2008 22:05:32 -0000 1.2 --- PVOCorrelationChooser.cs 1 Apr 2008 21:34:52 -0000 1.3 *************** *** 27,30 **** --- 27,31 ---- using QuantProject.ADT.Messaging; using QuantProject.Business.Strategies; + using QuantProject.Business.Strategies.InSample; using QuantProject.Business.Strategies.TickersRelationships; using QuantProject.Business.Strategies.Eligibles; |
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16734/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator Modified Files: PVO_OTCMain.cs PVO_OTCStrategy.cs PVOMain.cs PVOStrategy.cs Log Message: QuantProject.Business.Strategies.IInSampleChooser has been moved to QuantProject.Business.Strategies.InSample.IInSampleChooser Index: PVOStrategy.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOStrategy.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** PVOStrategy.cs 12 Mar 2008 22:05:33 -0000 1.2 --- PVOStrategy.cs 1 Apr 2008 21:34:52 -0000 1.3 *************** *** 31,34 **** --- 31,35 ---- using QuantProject.Business.Timing; using QuantProject.Business.Strategies; + using QuantProject.Business.Strategies.InSample; using QuantProject.Business.Strategies.OutOfSample; using QuantProject.Business.Strategies.Logging; Index: PVOMain.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVOMain.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** PVOMain.cs 12 Mar 2008 22:05:33 -0000 1.2 --- PVOMain.cs 1 Apr 2008 21:34:52 -0000 1.3 *************** *** 32,35 **** --- 32,36 ---- using QuantProject.Business.Strategies.Eligibles; using QuantProject.Business.Strategies.EquityEvaluation; + using QuantProject.Business.Strategies.InSample; using QuantProject.Business.Strategies.Logging; using QuantProject.Business.Strategies.Optimizing.Decoding; Index: PVO_OTCMain.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVO_OTCMain.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** PVO_OTCMain.cs 12 Mar 2008 22:04:45 -0000 1.1 --- PVO_OTCMain.cs 1 Apr 2008 21:34:52 -0000 1.2 *************** *** 32,35 **** --- 32,36 ---- using QuantProject.Business.Strategies.Eligibles; using QuantProject.Business.Strategies.EquityEvaluation; + using QuantProject.Business.Strategies.InSample; using QuantProject.Business.Strategies.Logging; using QuantProject.Business.Strategies.Optimizing.Decoding; Index: PVO_OTCStrategy.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/PVO_OTCStrategy.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** PVO_OTCStrategy.cs 12 Mar 2008 22:04:45 -0000 1.1 --- PVO_OTCStrategy.cs 1 Apr 2008 21:34:52 -0000 1.2 *************** *** 31,34 **** --- 31,35 ---- using QuantProject.Business.Timing; using QuantProject.Business.Strategies; + using QuantProject.Business.Strategies.InSample; using QuantProject.Business.Strategies.OutOfSample; using QuantProject.Business.Strategies.Logging; |
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From: Glauco S. <gla...@us...> - 2008-04-01 21:34:19
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16641/b7_Scripts/WalkForwardTesting/PairsTrading Modified Files: PairsTradingStrategy.cs Log Message: Two different IHistoricalQuoteProvider are now used (the previous version used just a single IHistoricalQuoteProvider): this.historicalQuoteProviderForInSample this.historicalQuoteProviderForChosingPositionsOutOfSample Index: PairsTradingStrategy.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingStrategy.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** PairsTradingStrategy.cs 13 Mar 2008 19:43:43 -0000 1.3 --- PairsTradingStrategy.cs 1 Apr 2008 21:34:08 -0000 1.4 *************** *** 26,29 **** --- 26,30 ---- using QuantProject.Business.Strategies; using QuantProject.Business.Strategies.Eligibles; + using QuantProject.Business.Strategies.InSample; using QuantProject.Business.Strategies.Logging; using QuantProject.Business.Strategies.OutOfSample; *************** *** 48,55 **** minThresholdForGoingShort, maxThresholdForGoingShort; - private HistoricalAdjustedQuoteProvider - historicalAdjustedQuoteProvider; - public PairsTradingStrategy( int numDaysBeetweenEachOtpimization , --- 49,56 ---- minThresholdForGoingShort, maxThresholdForGoingShort; + + private IHistoricalQuoteProvider + historicalQuoteProviderForChosingPositionsOutOfSample; public PairsTradingStrategy( int numDaysBeetweenEachOtpimization , *************** *** 58,62 **** IEligiblesSelector eligiblesSelector , IInSampleChooser inSampleChooser , ! IHistoricalQuoteProvider historicalQuoteProvider , double minThresholdForGoingLong , double maxThresholdForGoingLong , --- 59,65 ---- IEligiblesSelector eligiblesSelector , IInSampleChooser inSampleChooser , ! IHistoricalQuoteProvider historicalQuoteProviderForInSample , ! IHistoricalQuoteProvider ! historicalQuoteProviderForChosingPositionsOutOfSample , double minThresholdForGoingLong , double maxThresholdForGoingLong , *************** *** 69,73 **** eligiblesSelector , inSampleChooser , ! historicalQuoteProvider ) { this.minThresholdForGoingLong = minThresholdForGoingLong; --- 72,76 ---- eligiblesSelector , inSampleChooser , ! historicalQuoteProviderForInSample ) { this.minThresholdForGoingLong = minThresholdForGoingLong; *************** *** 76,81 **** this.maxThresholdForGoingShort = maxThresholdForGoingShort; ! this.historicalAdjustedQuoteProvider = ! new HistoricalAdjustedQuoteProvider(); } --- 79,84 ---- this.maxThresholdForGoingShort = maxThresholdForGoingShort; ! this.historicalQuoteProviderForChosingPositionsOutOfSample = ! historicalQuoteProviderForChosingPositionsOutOfSample; } *************** *** 167,173 **** ReturnIntervals returnIntervals = this.getReturnIntervalsForLastSecondPhaseInterval(); ReturnsManager returnsManager = new ReturnsManager( returnIntervals , ! this.historicalAdjustedQuoteProvider ); return returnsManager; } --- 170,179 ---- ReturnIntervals returnIntervals = this.getReturnIntervalsForLastSecondPhaseInterval(); + // ReturnsManager returnsManager = + // new ReturnsManager( returnIntervals , + // this.historicalAdjustedQuoteProvider ); ReturnsManager returnsManager = new ReturnsManager( returnIntervals , ! this.historicalQuoteProviderForChosingPositionsOutOfSample ); return returnsManager; } |
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From: Glauco S. <gla...@us...> - 2008-04-01 21:33:11
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16225/b7_Scripts/WalkForwardTesting/PairsTrading Modified Files: PairsTradingMain.cs Log Message: Three different IHistoricalQuoteProvider are now used (the previous version used just a single IHistoricalQuoteProvider): this.historicalQuoteProviderForInSample this.historicalQuoteProviderForChosingPositionsOutOfSample this.historicalQuoteProviderForTheBacktesterAccount Index: PairsTradingMain.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** PairsTradingMain.cs 30 Mar 2008 15:49:07 -0000 1.6 --- PairsTradingMain.cs 1 Apr 2008 21:33:07 -0000 1.7 *************** *** 52,56 **** { private Benchmark benchmark; ! private IHistoricalQuoteProvider historicalQuoteProvider; public PairsTradingMain() --- 52,61 ---- { private Benchmark benchmark; ! private IHistoricalQuoteProvider historicalQuoteProviderForInSample; ! private IHistoricalQuoteProvider ! historicalQuoteProviderForChosingPositionsOutOfSample; ! private IHistoricalQuoteProvider ! historicalQuoteProviderForTheBacktesterAccount; ! public PairsTradingMain() *************** *** 58,63 **** this.benchmark = new Benchmark( "BMC" ); ! this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider(); // definition for the Fitness Evaluator --- 63,72 ---- this.benchmark = new Benchmark( "BMC" ); ! this.historicalQuoteProviderForInSample = ! new HistoricalRawQuoteProvider(); ! this.historicalQuoteProviderForChosingPositionsOutOfSample = new HistoricalAdjustedQuoteProvider(); + this.historicalQuoteProviderForTheBacktesterAccount = + this.historicalQuoteProviderForInSample; // definition for the Fitness Evaluator *************** *** 103,107 **** this.benchmark , decoderForWeightedPositions , fitnessEvaluator , ! historicalQuoteProvider , crossoverRate , mutationRate , elitismRate , populationSizeForGeneticOptimizer , --- 112,116 ---- this.benchmark , decoderForWeightedPositions , fitnessEvaluator , ! this.historicalQuoteProviderForInSample , crossoverRate , mutationRate , elitismRate , populationSizeForGeneticOptimizer , *************** *** 113,118 **** numberOfBestTestingPositionsToBeReturned , decoderForWeightedPositions , ! fitnessEvaluator , ! historicalQuoteProvider ); } --- 122,126 ---- numberOfBestTestingPositionsToBeReturned , decoderForWeightedPositions , ! fitnessEvaluator ); } *************** *** 129,133 **** new PairsTradingStrategy( 7 , inSampleDays , intervalsSelector , ! eligiblesSelector , inSampleChooser , historicalQuoteProvider , 0.005 , 0.99 , 0.005 , 0.99 ); } --- 137,143 ---- new PairsTradingStrategy( 7 , inSampleDays , intervalsSelector , ! eligiblesSelector , inSampleChooser , ! this.historicalQuoteProviderForInSample , ! this.historicalQuoteProviderForChosingPositionsOutOfSample , 0.005 , 0.99 , 0.005 , 0.99 ); } *************** *** 138,149 **** double cashToStart = 30000; ! DateTime firstDateTime = new DateTime( 2001 , 1 , 1 ); DateTime lastDateTime = new DateTime( 2004 , 12 , 31 ); ! double maxRunningHours = 7; this.endOfDayStrategyBackTester = new EndOfDayStrategyBackTester( backTestId , this.endOfDayStrategy , ! historicalQuoteProvider , accountProvider , firstDateTime , lastDateTime , this.benchmark , cashToStart , maxRunningHours ); --- 148,160 ---- double cashToStart = 30000; ! DateTime firstDateTime = new DateTime( 2001 , 1 , 4 ); DateTime lastDateTime = new DateTime( 2004 , 12 , 31 ); ! double maxRunningHours = 9; this.endOfDayStrategyBackTester = new EndOfDayStrategyBackTester( backTestId , this.endOfDayStrategy , ! this.historicalQuoteProviderForTheBacktesterAccount , ! accountProvider , firstDateTime , lastDateTime , this.benchmark , cashToStart , maxRunningHours ); |
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From: Glauco S. <gla...@us...> - 2008-04-01 21:31:31
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/BruteForce In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15768/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/BruteForce Modified Files: PairsTradingBruteForceChooser.cs Log Message: the parameter historicalQuoteProvider has been removed, it was not used at all Index: PairsTradingBruteForceChooser.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/InSample/InSampleChoosers/BruteForce/PairsTradingBruteForceChooser.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** PairsTradingBruteForceChooser.cs 30 Mar 2008 15:27:02 -0000 1.1 --- PairsTradingBruteForceChooser.cs 1 Apr 2008 21:31:27 -0000 1.2 *************** *** 44,54 **** int numberOfBestTestingPositionsToBeReturned , IDecoderForTestingPositions decoderForTestingPositions , ! IFitnessEvaluator fitnessEvaluator , ! IHistoricalQuoteProvider historicalQuoteProvider ) : base ( numberOfBestTestingPositionsToBeReturned , decoderForTestingPositions , ! fitnessEvaluator , ! historicalQuoteProvider ) { } --- 44,52 ---- int numberOfBestTestingPositionsToBeReturned , IDecoderForTestingPositions decoderForTestingPositions , ! IFitnessEvaluator fitnessEvaluator ) : base ( numberOfBestTestingPositionsToBeReturned , decoderForTestingPositions , ! fitnessEvaluator ) { } |
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From: Glauco S. <gla...@us...> - 2008-04-01 21:30:58
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15311/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases Modified Files: FixedLengthTwoPhasesStrategy.cs Log Message: QuantProject.Business.Strategies.IInSampleChooser has been moved to QuantProject.Business.Strategies.InSample.IInSampleChooser Index: FixedLengthTwoPhasesStrategy.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/FixedLengthTwoPhasesStrategy.cs,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** FixedLengthTwoPhasesStrategy.cs 12 Mar 2008 22:09:05 -0000 1.5 --- FixedLengthTwoPhasesStrategy.cs 1 Apr 2008 21:30:53 -0000 1.6 *************** *** 29,32 **** --- 29,33 ---- using QuantProject.Business.Strategies; using QuantProject.Business.Strategies.Eligibles; + using QuantProject.Business.Strategies.InSample; using QuantProject.Business.Strategies.Logging; using QuantProject.Business.Strategies.ReturnsManagement; |
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From: Glauco S. <gla...@us...> - 2008-04-01 21:30:42
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15268/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases Modified Files: FixedLengthTwoPhasesMain.cs Log Message: QuantProject.Business.Strategies.IInSampleChooser has been moved to QuantProject.Business.Strategies.InSample.IInSampleChooser Index: FixedLengthTwoPhasesMain.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/FixedLengthTwoPhasesMain.cs,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** FixedLengthTwoPhasesMain.cs 12 Mar 2008 22:09:05 -0000 1.6 --- FixedLengthTwoPhasesMain.cs 1 Apr 2008 21:30:33 -0000 1.7 *************** *** 29,32 **** --- 29,33 ---- using QuantProject.Business.Strategies.Eligibles; using QuantProject.Business.Strategies.EquityEvaluation; + using QuantProject.Business.Strategies.InSample; using QuantProject.Business.Strategies.Logging; using QuantProject.Business.Strategies.Optimizing.Decoding; |
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From: Glauco S. <gla...@us...> - 2008-04-01 21:30:15
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15163/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic Modified Files: FixedLengthTwoPhasesGeneticChooser.cs Log Message: QuantProject.Business.Strategies.IInSampleChooser has been moved to QuantProject.Business.Strategies.InSample.IInSampleChooser Index: FixedLengthTwoPhasesGeneticChooser.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic/FixedLengthTwoPhasesGeneticChooser.cs,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** FixedLengthTwoPhasesGeneticChooser.cs 27 Feb 2008 22:27:35 -0000 1.5 --- FixedLengthTwoPhasesGeneticChooser.cs 1 Apr 2008 21:30:11 -0000 1.6 *************** *** 30,33 **** --- 30,34 ---- using QuantProject.Business.Strategies.Eligibles; using QuantProject.Business.Strategies.EquityEvaluation; + using QuantProject.Business.Strategies.InSample; using QuantProject.Business.Strategies.Optimizing.Decoding; using QuantProject.Business.Strategies.Optimizing.FitnessEvaluation; |
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From: Glauco S. <gla...@us...> - 2008-04-01 21:29:43
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Update of /cvsroot/quantproject/QuantProject/b4_Business In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14767/b4_Business Modified Files: Business_SD.csproj Log Message: - a2_Strategies\IInSampleChooser.cs has been moved to a2_Strategies\InSample\IInSampleChooser.cs - a2_Strategies\Logging\DummyLogItem.cs has been added Index: Business_SD.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business_SD.csproj,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** Business_SD.csproj 30 Mar 2008 16:00:48 -0000 1.20 --- Business_SD.csproj 1 Apr 2008 21:29:39 -0000 1.21 *************** *** 76,85 **** <Compile Include="a2_Strategies\EndOfDayStrategyBackTester.cs" /> <Compile Include="a2_Strategies\IEndOfDayStrategyForBacktester.cs" /> - <Compile Include="a2_Strategies\IInSampleChooser.cs" /> <Compile Include="a2_Strategies\InSample\BruteForceChooser.cs" /> <Compile Include="a2_Strategies\InSample\ConstantWeightedPositionsChooser.cs" /> <Compile Include="a2_Strategies\InSample\DummyInSampleChooser.cs" /> <Compile Include="a2_Strategies\InSample\GeneticChooser.cs" /> <Compile Include="a2_Strategies\Logging\BackTestLog.cs" /> <Compile Include="a2_Strategies\Logging\ILogDescriptor.cs" /> <Compile Include="a2_Strategies\Logging\LogItem.cs" /> --- 76,86 ---- <Compile Include="a2_Strategies\EndOfDayStrategyBackTester.cs" /> <Compile Include="a2_Strategies\IEndOfDayStrategyForBacktester.cs" /> <Compile Include="a2_Strategies\InSample\BruteForceChooser.cs" /> <Compile Include="a2_Strategies\InSample\ConstantWeightedPositionsChooser.cs" /> <Compile Include="a2_Strategies\InSample\DummyInSampleChooser.cs" /> <Compile Include="a2_Strategies\InSample\GeneticChooser.cs" /> + <Compile Include="a2_Strategies\InSample\IInSampleChooser.cs" /> <Compile Include="a2_Strategies\Logging\BackTestLog.cs" /> + <Compile Include="a2_Strategies\Logging\DummyLogItem.cs" /> <Compile Include="a2_Strategies\Logging\ILogDescriptor.cs" /> <Compile Include="a2_Strategies\Logging\LogItem.cs" /> |
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From: Glauco S. <gla...@us...> - 2008-04-01 21:28:22
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14318/b4_Business/a2_Strategies/InSample Modified Files: BruteForceChooser.cs Log Message: the parameter historicalQuoteProvider has been removed, it was not used at all Index: BruteForceChooser.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample/BruteForceChooser.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** BruteForceChooser.cs 30 Mar 2008 15:38:50 -0000 1.2 --- BruteForceChooser.cs 1 Apr 2008 21:28:18 -0000 1.3 *************** *** 49,53 **** protected IDecoderForTestingPositions decoderForTestingPositions; protected IFitnessEvaluator fitnessEvaluator; ! protected IHistoricalQuoteProvider historicalQuoteProvider; public string Description --- 49,53 ---- protected IDecoderForTestingPositions decoderForTestingPositions; protected IFitnessEvaluator fitnessEvaluator; ! // protected IHistoricalQuoteProvider historicalQuoteProvider; public string Description *************** *** 65,70 **** int numberOfBestTestingPositionsToBeReturned , IDecoderForTestingPositions decoderForTestingPositions , ! IFitnessEvaluator fitnessEvaluator , ! IHistoricalQuoteProvider historicalQuoteProvider ) { this.numberOfBestTestingPositionsToBeReturned = --- 65,69 ---- int numberOfBestTestingPositionsToBeReturned , IDecoderForTestingPositions decoderForTestingPositions , ! IFitnessEvaluator fitnessEvaluator ) { this.numberOfBestTestingPositionsToBeReturned = *************** *** 72,76 **** this.decoderForTestingPositions = decoderForTestingPositions; this.fitnessEvaluator = fitnessEvaluator; ! this.historicalQuoteProvider = historicalQuoteProvider; } --- 71,75 ---- this.decoderForTestingPositions = decoderForTestingPositions; this.fitnessEvaluator = fitnessEvaluator; ! // this.historicalQuoteProvider = historicalQuoteProvider; } |
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From: Glauco S. <gla...@us...> - 2008-04-01 21:26:17
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/General In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13426/b7_Scripts/General Modified Files: BasicScriptForBacktesting.cs Log Message: QuantProject.Business.Strategies.IInSampleChooser has been moved to QuantProject.Business.Strategies.InSample.IInSampleChooser Index: BasicScriptForBacktesting.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/General/BasicScriptForBacktesting.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** BasicScriptForBacktesting.cs 19 Mar 2008 23:14:34 -0000 1.1 --- BasicScriptForBacktesting.cs 1 Apr 2008 21:26:14 -0000 1.2 *************** *** 28,31 **** --- 28,32 ---- using QuantProject.Business.Strategies; using QuantProject.Business.Strategies.Eligibles; + using QuantProject.Business.Strategies.InSample; using QuantProject.Presentation; |
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From: Glauco S. <gla...@us...> - 2008-04-01 21:25:36
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EndOfDayStrategies In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13010/b4_Business/a2_Strategies/EndOfDayStrategies Modified Files: BasicEndOfDayStrategyForBacktester.cs Log Message: QuantProject.Business.Strategies.IInSampleChooser has been moved to QuantProject.Business.Strategies.InSample.IInSampleChooser Index: BasicEndOfDayStrategyForBacktester.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EndOfDayStrategies/BasicEndOfDayStrategyForBacktester.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** BasicEndOfDayStrategyForBacktester.cs 30 Mar 2008 15:31:17 -0000 1.3 --- BasicEndOfDayStrategyForBacktester.cs 1 Apr 2008 21:25:32 -0000 1.4 *************** *** 28,32 **** using QuantProject.Business.DataProviders; using QuantProject.Business.Financial.Accounting; ! using QuantProject.Business.Strategies; using QuantProject.Business.Strategies.Eligibles; using QuantProject.Business.Strategies.Logging; --- 28,32 ---- using QuantProject.Business.DataProviders; using QuantProject.Business.Financial.Accounting; ! using QuantProject.Business.Strategies.InSample; using QuantProject.Business.Strategies.Eligibles; using QuantProject.Business.Strategies.Logging; *************** *** 54,58 **** protected IEligiblesSelector eligiblesSelector; protected IInSampleChooser inSampleChooser; ! protected IHistoricalQuoteProvider historicalQuoteProvider; protected DateTime lastOptimizationDateTime; --- 54,58 ---- protected IEligiblesSelector eligiblesSelector; protected IInSampleChooser inSampleChooser; ! protected IHistoricalQuoteProvider historicalQuoteProviderForInSample; protected DateTime lastOptimizationDateTime; *************** *** 110,114 **** IEligiblesSelector eligiblesSelector , IInSampleChooser inSampleChooser , ! IHistoricalQuoteProvider historicalQuoteProvider ) { --- 110,114 ---- IEligiblesSelector eligiblesSelector , IInSampleChooser inSampleChooser , ! IHistoricalQuoteProvider historicalQuoteProviderForInSample ) { *************** *** 118,122 **** this.eligiblesSelector = eligiblesSelector; this.inSampleChooser = inSampleChooser; ! this.historicalQuoteProvider = historicalQuoteProvider; this.returnIntervals = --- 118,123 ---- this.eligiblesSelector = eligiblesSelector; this.inSampleChooser = inSampleChooser; ! this.historicalQuoteProviderForInSample = ! historicalQuoteProviderForInSample; this.returnIntervals = *************** *** 275,279 **** inSampleReturnIntervals.BordersHistory ); ReturnsManager returnsManager = new ReturnsManager( ! inSampleReturnIntervals , this.historicalQuoteProvider ); this.bestTestingPositionsInSample = (TestingPositions[])this.inSampleChooser.AnalyzeInSample( --- 276,281 ---- inSampleReturnIntervals.BordersHistory ); ReturnsManager returnsManager = new ReturnsManager( ! inSampleReturnIntervals , ! this.historicalQuoteProviderForInSample ); this.bestTestingPositionsInSample = (TestingPositions[])this.inSampleChooser.AnalyzeInSample( |
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From: Glauco S. <gla...@us...> - 2008-04-01 21:20:10
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv9799/b7_Scripts Modified Files: Scripts_SD.csproj Log Message: - WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\BruteForce has been added - WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\PairsTradingBruteForceChooser.cs has been moved to WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\BruteForce\PairsTradingBruteForceChooser.cs - WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\BruteForce\PairsTradingBruteForceOptimizableParametersManager.cs has been added Index: Scripts_SD.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts_SD.csproj,v retrieving revision 1.20 retrieving revision 1.21 diff -C2 -d -r1.20 -r1.21 *** Scripts_SD.csproj 26 Mar 2008 00:54:08 -0000 1.20 --- Scripts_SD.csproj 1 Apr 2008 21:19:59 -0000 1.21 *************** *** 103,109 **** <Compile Include="WalkForwardTesting\FixedLengthTwoPhases\Logging\FixedLengthTwoPhasesLogItem.cs" /> <Compile Include="WalkForwardTesting\MSFTwalkForward\TsMSFTwalkForward.cs" /> <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Genetic\DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs" /> <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Genetic\PairsTradingGeneticChooser.cs" /> - <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\PairsTradingBruteForceChooser.cs" /> <Compile Include="WalkForwardTesting\PairsTrading\InSample\PairsTradingFitnessEvaluator.cs" /> <Compile Include="WalkForwardTesting\PairsTrading\Logging\PairsTradingLogItem.cs" /> --- 103,110 ---- <Compile Include="WalkForwardTesting\FixedLengthTwoPhases\Logging\FixedLengthTwoPhasesLogItem.cs" /> <Compile Include="WalkForwardTesting\MSFTwalkForward\TsMSFTwalkForward.cs" /> + <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\BruteForce\PairsTradingBruteForceChooser.cs" /> + <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\BruteForce\PairsTradingBruteForceOptimizableParametersManager.cs" /> <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Genetic\DecoderForPairsTradingTestingPositionsWithBalancedWeights.cs" /> <Compile Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Genetic\PairsTradingGeneticChooser.cs" /> <Compile Include="WalkForwardTesting\PairsTrading\InSample\PairsTradingFitnessEvaluator.cs" /> <Compile Include="WalkForwardTesting\PairsTrading\Logging\PairsTradingLogItem.cs" /> *************** *** 286,289 **** --- 287,291 ---- <Folder Include="WalkForwardTesting\PairsTrading\InSample" /> <Folder Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers" /> + <Folder Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\BruteForce" /> <Folder Include="WalkForwardTesting\PairsTrading\InSample\InSampleChoosers\Genetic" /> <Folder Include="WalkForwardTesting\PairsTrading\Logging" /> |
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From: Glauco S. <gla...@us...> - 2008-04-01 21:17:54
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Update of /cvsroot/quantproject/QuantProject/b4_Business In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8912/b4_Business Modified Files: b4_Business.csproj Log Message: a2_Strategies\IInSampleChooser.cs has been moved to a2_Strategies\InSample\IInSampleChooser.cs Index: b4_Business.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v retrieving revision 1.62 retrieving revision 1.63 diff -C2 -d -r1.62 -r1.63 *** b4_Business.csproj 30 Mar 2008 15:23:32 -0000 1.62 --- b4_Business.csproj 1 Apr 2008 21:17:50 -0000 1.63 *************** *** 655,663 **** /> <File - RelPath = "a2_Strategies\IInSampleChooser.cs" - SubType = "Code" - BuildAction = "Compile" - /> - <File RelPath = "a2_Strategies\Signal.cs" SubType = "Code" --- 655,658 ---- *************** *** 770,773 **** --- 765,773 ---- /> <File + RelPath = "a2_Strategies\InSample\IInSampleChooser.cs" + SubType = "Code" + BuildAction = "Compile" + /> + <File RelPath = "a2_Strategies\Logging\BackTestLog.cs" SubType = "Code" |
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From: Glauco S. <gla...@us...> - 2008-04-01 21:17:22
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8890 Removed Files: IInSampleChooser.cs Log Message: a2_Strategies\IInSampleChooser.cs has been moved to a2_Strategies\InSample\IInSampleChooser.cs --- IInSampleChooser.cs DELETED --- |
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From: Glauco S. <gla...@us...> - 2008-04-01 21:15:55
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv7994/a2_Strategies/InSample Added Files: IInSampleChooser.cs Log Message: a2_Strategies\IInSampleChooser.cs has been moved to a2_Strategies\InSample\IInSampleChooser.cs --- NEW FILE: IInSampleChooser.cs --- /* QuantProject - Quantitative Finance Library IInSampleChooser.cs Copyright (C) 2007 Glauco Siliprandi This program is free software; you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation; either version 2 of the License, or (at your option) any later version. This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. You should have received a copy of the GNU General Public License along with this program; if not, write to the Free Software Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. */ using System; using System.Data; using QuantProject.ADT; using QuantProject.ADT.Messaging; using QuantProject.Business.Strategies.Eligibles; using QuantProject.Business.Strategies.Logging; using QuantProject.Business.Strategies.ReturnsManagement; namespace QuantProject.Business.Strategies.InSample { /// <summary> /// Interface for classes that perform in sample researches (usually optimization) /// </summary> public interface IInSampleChooser : IProgressNotifier , IMessageSender , ILogDescriptor { /// <summary> /// Analizes in sample data and returns an object /// </summary> /// <param name="eligibleTickers">eligible tickers for the in sample analysis</param> /// <param name="returnsManager">manager to efficiently handle in sample</param> /// <returns>interesting data (usually an optimization's optimal result) to be used /// to take decisions out of sample</returns> object AnalyzeInSample( EligibleTickers eligibleTickers , ReturnsManager returnsManager ); //// EndOfDayDateTime currentOutOfSampleEndOfDayDateTime ); // /// <summary> // /// Short description for the chooser // /// (it might be used in file names describing the strategy) // /// </summary> // string Description { get; } } } |
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From: Glauco S. <gla...@us...> - 2008-04-01 21:14:41
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Update of /cvsroot/quantproject/QuantProject/b1_ADT In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv7448/b1_ADT Modified Files: ADT_SD.csproj Log Message: - Optimizing\BruteForce\CombinationBasedBruteForceOptimizableParametersManager.cs has been moved to Optimizing\BruteForce\ParametersManagers\CombinationBasedBruteForceOptimizableParametersManager.cs - Optimizing\BruteForce\IBruteForceOptimizableParametersManager.cs has been moved to Optimizing\BruteForce\ParametersManagers\IBruteForceOptimizableParametersManager.cs - Optimizing\BruteForce\ParametersManagers has been added - Optimizing\BruteForce\ParametersManagers\BruteForceOptimizableParametersManagerWithoutEquivalentsAsTopBestParameters.cs has been added Index: ADT_SD.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ADT_SD.csproj,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** ADT_SD.csproj 30 Mar 2008 15:20:35 -0000 1.7 --- ADT_SD.csproj 1 Apr 2008 21:14:31 -0000 1.8 *************** *** 54,58 **** <Compile Include="HashProvider.cs" /> <Compile Include="Optimizing\BruteForce\BestParametersManager.cs" /> ! <Compile Include="Optimizing\BruteForce\CombinationBasedBruteForceOptimizableParametersManager.cs" /> <Compile Include="Optimizing\Fitness\FitnessComparer.cs" /> <Compile Include="Optimizing\Fitness\IWithFitness.cs" /> --- 54,60 ---- <Compile Include="HashProvider.cs" /> <Compile Include="Optimizing\BruteForce\BestParametersManager.cs" /> ! <Compile Include="Optimizing\BruteForce\ParametersManagers\BruteForceOptimizableParametersManagerWithoutEquivalentsAsTopBestParameters.cs" /> ! <Compile Include="Optimizing\BruteForce\ParametersManagers\CombinationBasedBruteForceOptimizableParametersManager.cs" /> ! <Compile Include="Optimizing\BruteForce\ParametersManagers\IBruteForceOptimizableParametersManager.cs" /> <Compile Include="Optimizing\Fitness\FitnessComparer.cs" /> <Compile Include="Optimizing\Fitness\IWithFitness.cs" /> *************** *** 92,96 **** <Compile Include="Optimizing\BruteForce\BruteForceOptimizableParameters.cs" /> <Compile Include="Optimizing\BruteForce\BruteForceOptimizer.cs" /> - <Compile Include="Optimizing\BruteForce\IBruteForceOptimizableParametersManager.cs" /> <Compile Include="Statistics\Combinatorial\Combination.cs" /> <Compile Include="ExtendedMath.cs" /> --- 94,97 ---- *************** *** 102,105 **** --- 103,107 ---- <Folder Include="Messaging" /> <Folder Include="Optimizing\BruteForce" /> + <Folder Include="Optimizing\BruteForce\ParametersManagers" /> <Folder Include="Optimizing\Decoding" /> <Folder Include="Optimizing\Fitness" /> |
